SigmaFit Stochastic volatility option model fitter and calculator program
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fitter Option Calculator implied volatility volatility create volatility file generate volatility batch make volatility file stochastic fitting curve fitter Dynamical Model Calculator hybrid stochastic model kinetics fitter rate constant fitter calculate implied volatility option price calculator PTM Fitter stochastic process edit stochastic Petri-nets create stochastic Petri-nets stochastic Petri-nets editor

SigmaFit Description

SigmaFit application is based on the author's novel exact solutions (YM_SV) of the Stochastic Volatility (SV) Option Problems. It fits a state of the art SV option model to market (futures) option prices up to d10 better than popular option pricing models like Black(76)-Scholes (also fitted). It can use the fitted models to forecast other market prices, Greeks & implied volatilities (IVs), like next day's prices over 14 closer. These and other evidence are included as real examples users can run & see for themselves. SigmaFit is simple to use, just make 2 simple 1 and 2-column Strike and (market) Option Price text files, enter option parameters into a simple form and click Fit. Hands on info, Readme & real examples give extra help. A click interfaces EXCEL to all the fitted & forecast prices, Greeks, IVs & the goodness of fit. SigmaFit has many applications & is indispensable in (Derivatives)(Arbitrage) Trading, Investments, Portfolio Management & Insurance, Risk Management, Hedging, VAR. Main features: Based on Dr. Y. Maghsoodi's closed-form analytical solutions of Advanced Stochastic Volatility (Futures) Option Problems ( YM_SV Models ) Models the Dynamics of the Asset and its Volatility as a Correlated Bivariate System of Stochastic Differential Equations Version 2 applies an even more advanced Stochastic Volatility Option Model hoice of Fitting YM_SV Option or Futures Option Model. Black-Scholes Option or Black-76 Futures Option Model also fitted Can also price options on dividend paying assets Can now fit YM_SV (Futures) Option Models to Market prices up to % 6410 more closely than Black-Scholes or Black-76 Model YM_SV Model can now recover Market Implied Volatility (IV) curve as closely as within its %0.27 Can Apply the YM_SV fitted Model to compute other options, such as next day's options over 14 more closely Can forecast other Market prices IV curve, such as next day's prices as closely as less than within its %0.7 Simple to Use, the user just fills in a simple Form and makes 2 simple 1 and 2-column Strike & Option Price text files and clicks Fit Tips on Entering each data is displayed by placing mouse pointer on that data field Example Data Samples from Market S&P500 and FTSE 100 (Futures) Options prices provide additional guidance and support Fits Data even fast, within a few minutes fits up to 50 Market prices and computes all their European Calls, Puts, Greeks and IV's Platform Versatility, SigmaFit may be run on any IEEE Compliant PC with 32 MB RAM, WIN 95, 98, NT, 2000, ME and XP Wide ranging Applications e.g. in Investments, Portfolio Insurance & Risk Management, (Arbitrage) Trading, Hedging, VAR.... An Indispensable Tool for Investors, Finance Professionals, Researchers, Traders, Portfolio and Fund Managers.

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